Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 5 | 4 | 6 |
| Score | -2.02 | -1.86 | -0.23 |
| Market Cap (Millions USD) | 69478.27 | 68947.77 | 66737.57 |
| Predicted Beta | 1.3 | 1.3 | 1.31 |
| Idiosyncratic Volatility | 1.27 | 1.04 | 2.32 |
Annualized return and volatility
| VXF | |
|---|---|
| Annualized Return | 0.0936 |
| Annualized Std Dev | 0.2053 |
| Annualized Sharpe (Rf=0%) | 0.4562 |
Row
Daily Return Statistics
| VXF | |
|---|---|
| Observations | 4601.0000 |
| NAs | 513.0000 |
| Minimum | -0.1098 |
| Quartile 1 | -0.0053 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0070 |
| Maximum | 0.0995 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | -0.3217 |
| Kurtosis | 7.0201 |
Downside Risk
| VXF | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5804 |
| Historical VaR (95%) | -0.0196 |
| Historical ES (95%) | -0.0311 |
| Modified VaR (95%) | -0.0202 |
| Modified ES (95%) | -0.0373 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2011-01-03 | -0.5804 | 830 | 364 | 466 |
| 2002-04-17 | 2002-10-09 | 2003-08-21 | -0.3165 | 348 | 125 | 223 |
| 2011-05-02 | 2011-10-03 | 2012-03-26 | -0.2764 | 230 | 109 | 121 |
| 2015-06-24 | 2016-02-11 | 2016-11-15 | -0.2504 | 359 | 164 | 195 |
| 2018-08-30 | 2018-12-24 | 2019-11-25 | -0.2471 | 317 | 82 | 235 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | VXF | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | 0.1 | 1.2 | 0.3 | 0.4 | 0.0 | -2.9 | -1.4 | 0.0 | 0.7 | 0.8 | 0.0 | 0.0 | -0.8 |
| 2003 | 0.0 | 0.0 | 0.3 | 0.5 | 0.0 | 0.4 | -0.8 | 0.0 | 1.3 | 0.0 | 1.0 | 0.0 | 2.7 |
| 2004 | 0.0 | 1.1 | 0.7 | 0.0 | 0.2 | -0.7 | 0.0 | 0.6 | 1.4 | 0.3 | 1.2 | 0.0 | 5.1 |
| 2005 | 0.7 | 0.6 | -0.3 | 0.0 | 0.6 | 0.2 | 0.1 | 0.3 | 0.0 | 0.0 | 1.8 | 0.0 | 4.1 |
| 2006 | 0.2 | 1.4 | 0.0 | -0.5 | 1.7 | 0.0 | -1.0 | 0.6 | 0.0 | -1.4 | -0.2 | 0.0 | 0.8 |
| 2007 | 1.0 | -0.4 | 0.0 | 0.2 | 0.5 | 0.0 | 0.3 | 0.0 | 1.6 | -2.6 | 0.0 | 0.0 | 0.6 |
| 2008 | 3.0 | 0.0 | 3.2 | 1.4 | 0.0 | 0.1 | 0.0 | 0.0 | -0.7 | 0.0 | -11.0 | 0.0 | -4.6 |
| 2009 | 0.0 | 0.0 | 1.9 | 0.1 | 3.1 | 1.4 | 0.0 | -2.1 | -3.4 | 0.0 | 1.4 | 0.0 | 2.2 |
| 2010 | 1.5 | 1.8 | 0.9 | 0.0 | -2.9 | -0.7 | 0.0 | 3.5 | 0.5 | -0.2 | 2.2 | 0.0 | 6.6 |
| 2011 | 1.8 | -2.0 | 0.5 | 0.0 | -2.7 | 1.6 | -0.5 | -1.8 | 0.0 | -3.3 | -0.4 | 0.0 | -6.7 |
| 2012 | 2.1 | 0.7 | 0.0 | 0.2 | -3.1 | 0.0 | -1.1 | 0.0 | 0.0 | 1.8 | 0.0 | 0.0 | 0.6 |
| 2013 | 0.8 | 0.3 | -1.1 | -1.8 | 0.0 | 1.5 | 1.7 | 0.0 | 1.3 | 0.0 | 0.0 | 0.0 | 2.6 |
| 2014 | 0.0 | 0.0 | 1.2 | 0.2 | 0.0 | 0.9 | -0.2 | 0.0 | -1.5 | 0.0 | -1.5 | 0.0 | -1.0 |
| 2015 | 0.0 | 0.0 | -0.3 | 0.6 | 0.2 | 0.4 | 0.0 | -2.6 | -0.1 | 0.0 | 0.8 | 0.0 | -1.0 |
| 2016 | -0.1 | 2.1 | 0.4 | 0.0 | 0.6 | 0.3 | -0.2 | 0.1 | 0.0 | -1.0 | -0.7 | 0.0 | 1.5 |
| 2017 | -0.2 | 1.5 | 0.0 | 0.5 | 1.7 | 0.0 | 0.2 | 0.4 | 0.0 | -0.3 | -0.4 | 0.0 | 3.5 |
| 2018 | 0.2 | -0.5 | 0.0 | 0.3 | 0.8 | 0.0 | 0.0 | 0.0 | -0.9 | 2.0 | 0.0 | 0.0 | 2.0 |
| 2019 | 0.4 | 0.7 | 1.1 | -0.9 | 0.0 | 0.6 | -1.3 | 0.0 | -1.7 | 1.4 | 0.0 | 0.2 | 0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
